Not inappropriately, given the work that he showed in the Turner prize shortlist exhibition, Mark Wallinger is a great bear of a man, a little jowly, very genial, and with a mild, quietly spoken, articulate way with him that frequently ratchets up abruptly into roars and snorts of laughter.

It is the morning after the announcement of the Turner prize-giving and Wallinger, who was celebrating till 3.30am at the shortlisted artists' after-party in a Liverpool hotel, has before him the standard-issue winner's kit: coffee, mineral water and a packet of Migraleve. "I never knew before what footballers meant when they said 'It hasn't really sunk in yet' - such a dreadful cliche - but now I think I know what they mean. I think I've been practising losing for six months ..."

"It's a good day for bears," he adds with a grin, the teacher Gillian Gibbons, she of the infamous teddy called Muhammad, having just flown in from Sudan.

Sleeper, Wallinger's film of himself roaming a deserted Berlin gallery at dead of night badly disguised as a bear, was the work he showed in this year's Turner prize exhibition at Tate Liverpool. But, at least officially, it was not the piece that won him the prize - that was State Britain, a precise reconstruction of Brian Haw's famous anti-war camp in Parliament Square. That work - 40-odd metres long - was on show at Tate Britain, London, between January and August this year: as these things turn out, Wallinger had documented Haw's immense protest by way of 600 photographs just four days before 78 police descended on it and removed the bulk of the placards, photographs, flags, information boards and associated flotsam and jetsam that made up this quite extraordinary and motley camp. The removal of the protest was made legal by the Serious Organised Crime and Police Act 2005 which, astonishingly, forbade unauthorised protests within one mile of parliament - a fact that Wallinger believes flies in the face of our most basic rights as citizens.

He felt it was "in the public interest to render visible something that this stupid Act has caused to be dismantled", but of course in recreating the camp in Tate Britain he also transformed it, froze it in time, transplanted it, decontextualised it.

"When we put it in the Tate, someone said it looked a bit like harvest festival - these humble offerings in this great neoclassical building," he says. "But of course the work starts to question the building, to question where its authority comes from: neoclassical is the language that power and money tends to choose."

The look of Haw's camp, its passionate homemadeness and chaos, was also compelling to Wallinger: "I like to have beauty on my side, of course. And there was something truthful and beautiful about the protest, all these things that had either been made by Brian or assembled by him. It had a grim humour, too, and it was also very instructive. It told you, for instance, exactly which MPs had voted for the war and which against; that parliament had spent 700 hours debating foxhunting and seven debating the war."

He adds: "The campsite looked like it had been through a conflict: it really did express the agony of war, the agony of trying to do anything about it. The fact that Brian's bed was there made it seem something like a conscious nightmare."

Adrian Searle, the Guardian's art critic, likened State Britain to a 19th-century history painting, to works such as Manet's The Execution of Maximilian. "That's a pretty high exemplar," says Wallinger, with a hoot of laughter.

Wallinger, in fact, started out as a painter. Born in Chigwell, Essex, in 1959 (thus just sneaking in, as he says, "under the wire" for the Turner prize, which is for artists under 50), he had a natural gift for drawing as a child, which was encouraged by his parents. "My dad taught me to paint. They were amazingly cultured people, who had left school at 15." His father, who died in 2001, was a fishmonger.

"It's quite odd to have been brought up in a place later held up for complete ridicule," he says. "After my father died it became quite important for me to reclaim it as a proper place . . . About 10 years ago my mother called up and said, 'You'll never guess who's looking for a house in Chigwell.' I actually do this in pubs, and make people guess. It was Marlon Brando! I told mum she should have offered a house swap for his place in the South Pacific. Anyway, if Chigwell's good enough for Marlon Brando, it's good enough for me." He talks of it as a very particular kind of place: two streets away began fields, and "Sally Gunnell's dad's farm", but it is also on the underground into London, and there were frequent trips west.

"I thought all kids were taken to the National Gallery and the V&A at weekends. We were also a fanatical ballet family. I saw Fonteyn and Nureyev, and Baryshnikov and Makarova dancing with the Kirov before they defected."

He still loves the ballet and weeps like a baby at it. He would like to do something with dance one day and is talking to Sadler's Wells, he says.

Wallinger studied at Chelsea College of Art and Goldsmiths, learning to paint but also producing a thesis on James Joyce. "Joyce spoils you for other writers. He's got everything covered. And inverted commas are so ugly." He hoots with laughter again. "I only did it because they turned down my first idea, which was on horse racing." He has a longstanding interest in the turf. He once bought a racehorse and called it A Real Work of Art, also producing a bronze sculpture of it; and he showed two paintings of racehorses in the Turner prize shortlist exhibition of 1995, the year he lost out to Damien Hirst.

At a certain point, about 12 years ago, he stopped painting, fearing the state of being trapped by his facility for it, and decided to "steel myself to work in other ways". He started making sculpture, and perhaps his most famous work of that kind is Ecce Homo, his Christlike figure that stood on the usually vacant fourth plinth in Trafalgar Square in 1999. "It was coming up to the millennium and everyone was very squeamish about the fact that it was meant to commemorate 2,000 years since the birth of Christ. I wanted to put the obvious out there, and I was interested in making Christ as other, and as threatening, as Islam is to a lot of people."

It's interesting, perhaps, to relate this eight-year-old major piece to a new, minor work: the wrapping paper he designed for the Guardian and which appeared in the newspaper on Monday, arousing upset and anger among some readers. "There are a lot of mixed messages at Christmas," he says. "The Christian thing, the Father Christmas thing, the consumerist thing. Fundamentally, though, it's about Jesus Christ." His wrapping paper said simply that - Jesus Christ - over and over, baldly and literally.

"Obviously, I came up with it long before there was a teddy bear called Muhammad," he says. "It's quite odd, what has become taboo in a name."

The art Wallinger admires is the old stuff. "I spent three months once at the British School in Rome - during which time I produced one limerick - and it was fantastic. Nothing will ever touch that, the ancient, the modern ... I remember I had been there a month, and had begun to tire a little of the pasta thing. [Another roar of laughter.] I went in search of McDonalds's, knowing there was one near the Pantheon, and I passed a church. Rather guiltily, I thought I'd better go in. So I was walking down through the nave, and someone stuck their 500 lire into a box and up sprang Caravaggio's St Matthew triptych." His eyes are alight at the memory of it - that and the thought of the Berninis in the Galleria Borghese. He does a great impression of David's expression in Bernini's sculpture of the boy straining back, stone in his sling, about to knock out Goliath with one fantasical, muscular effort.

If Wallinger's Guardian wrapping paper was seen by some as frivolous, that is a misjudgment: he is often funny, but he is not a thoughtless artist, and his art comes from rigorous reason as well as from the gut-pull of emotion. He is sceptical about the art shenanigans of today, with so much big money swilling around, and the silly prices. "Artists are greedy at the moment. When I left art college, I remember going to a talk called Is There a Future After Art College, and it was generally accepted that the answer was no, but you struggled on regardless. The landscape has certainly changed. People talk about money. There's nothing interesting in money, is there?

"At the same time," he adds, "artists have to make a living, and patronage in art has always been an issue, whether it's church or state or rich bonkers people. It feels like there's too much art at the moment. A glut of art." He hoots again. "Oh God! It's everywhere you turn."